Monday, March 23, 2009

Relative Volume Update: How Much Participation Can We Expect During the Day?

Relative volume is a concept that assesses current volume as a function of the normal, expectable volume for that particular time of day. This is important, because relative volume tells us something important about volatility and who is participating in market moves.

Here are the median volumes for January to the present for the ES contract on a half-hourly basis (Central time; the time given is the starting time for the half-hourly period). Standard deviations to help you gauge shifts in relative volume are in parentheses. I also mention relative volume in my intraday Twitter comments:

8:30 - 249,628 (60,916)
9:00 - 210,109 (49,641)
9:30 - 176,713 (47,441)
10:00 - 150,998 (58,135)
10:30 - 124,357 (52,555)
11:00 - 112,447 (38,514)
11:30 - 111,184 (32,758)
12:00 - 113,583 (34,148)
12:30 - 122,089 (43,015)
13:00 - 144,050 (64,873)
13:30 - 153,997 (62,491)
14:00 - 188,381 (55,594)
14:30 - 260,692 (84,687)
15:00 - 111,856 (30,520)

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2 comments:

cordura21 said...

Thanks for the info, Brett. Inspired by your post I did the same with the price range, here's the chart http://twitpic.com/2eipc

TNH said...

Thanks for your wisdom Brett. Enjoying your newest book also. Any chance you have the same info for the YM?
Thanks'
TNH